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Correlation expansions for CDO pricing
Glasserman, Paul; Suchintabandid, Sira - In: Journal of banking & finance 31 (2007) 5, pp. 1375-1398
Persistent link: https://www.econbiz.de/10003461167
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Pricing nondiversifiable credit risk in the corporate Eurobond market
Abaffy, J.; Bertocchi, Marida; Dupačová, Jitka; … - In: Journal of banking & finance 31 (2007) 8, pp. 2233-2263
Persistent link: https://www.econbiz.de/10003522905
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Cross hedging under multiplicative basis risk
Adam-Müller, Axel F. A.; Nolte, Ingmar - In: Journal of banking & finance 35 (2011) 11, pp. 2956-2964
Persistent link: https://www.econbiz.de/10009374691
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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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Capital requirements for over-the-counter derivatives central counterparties
Lin, Li; Surti, Jay - In: Journal of banking & finance 52 (2015), pp. 140-155
Persistent link: https://www.econbiz.de/10011377350
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Static models of central counterparty risk
Ghamami, Samim - In: International journal of financial engineering 2 (2015) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011333478
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Margining in derivatives markets and the stability of the banking sector
Gibson, Rajna; Murawski, Carsten - In: Journal of banking & finance 37 (2013) 4, pp. 1119-1132
Persistent link: https://www.econbiz.de/10009716242
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VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation
Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020
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Credit default swap spreads and variance risk premia
Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746
Persistent link: https://www.econbiz.de/10010126846